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Prékopa, András; Lee, Jinwook - In: European journal of operational research : EJOR 265 (2018) 1, pp. 149-168

Persistent link: https://www.econbiz.de/10011805383

A robust ordered weighted averaging loss model for portfolio optimization

Benati, Stefano; Sánchez Conde, Eduardo - In: Computers & operations research : an international journal 167 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014566418

Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148

Persistent link: https://www.econbiz.de/10012176750

Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR

Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun - In: Journal of economic dynamics & control 108 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012313656

CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions

Ding, Rui; Uryasev, Stan - In: Journal of risk and financial management : JRFM 13 (2020) 11/270, pp. 1-18

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and...

Persistent link: https://www.econbiz.de/10012389811